Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0443 |
| Annualized Std Dev | 0.2174 |
| Annualized Sharpe (Rf=0%) | 0.2038 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3931.0000 |
| NAs | 1.0000 |
| Minimum | -0.1353 |
| Quartile 1 | -0.0053 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1417 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0137 |
| Skewness | -0.1645 |
| Kurtosis | 14.4931 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0100 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0111 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0098 |
| Downside Deviation (0%) | 0.0098 |
| Maximum Drawdown | 0.5971 |
| Historical VaR (95%) | -0.0206 |
| Historical ES (95%) | -0.0334 |
| Modified VaR (95%) | -0.0189 |
| Modified ES (95%) | -0.0189 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2018-01-12 | -0.5971 | 2568 | 339 | 2229 |
| 2020-01-21 | 2020-03-23 | 2020-07-29 | -0.2988 | 133 | 44 | 89 |
| 2018-01-29 | 2018-12-24 | 2019-12-13 | -0.2213 | 474 | 229 | 245 |
| 2006-05-10 | 2006-06-13 | 2006-11-30 | -0.1638 | 143 | 24 | 119 |
| 2007-07-13 | 2007-08-16 | 2007-09-27 | -0.1213 | 54 | 25 | 29 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | 1.6 | -0.4 | 0.6 | 1.8 | -0.8 | 2.9 |
| 2006 | 0.5 | 0.7 | -0.5 | -0.2 | 0.5 | 1.1 | -0.7 | 0.5 | -0.4 | -0.3 | -0.4 | 0 | 0.8 |
| 2007 | 0.8 | -1.3 | 0.1 | 0 | 0.6 | 0.6 | -0.5 | 2.1 | 1.5 | -2.3 | 0.7 | -0.9 | 1.3 |
| 2008 | 1.9 | -2.5 | 2.6 | 0.7 | 0.4 | -1.1 | -1.6 | -0.2 | -0.5 | 1.8 | -7.6 | 1.4 | -5 |
| 2009 | -0.5 | 0.3 | 1.7 | 1.3 | 2.2 | 1.2 | 1.6 | -2 | -2.4 | -3.1 | 2.9 | -0.9 | 2 |
| 2010 | 1.7 | 1.2 | 1.6 | -1.2 | -0.7 | 1.1 | 0 | 3.7 | 0.9 | -0.2 | 2.6 | 0.5 | 11.6 |
| 2011 | 2 | -1 | 0.9 | 0.5 | -2.2 | 0.9 | -0.7 | -1 | -3.5 | -2.7 | -1.1 | 0.4 | -7.5 |
| 2012 | 1.4 | 1.1 | 0.9 | 0.4 | -2.9 | 3.4 | 0.2 | 0.8 | 0.9 | 1.1 | 0 | 1.4 | 8.9 |
| 2013 | 1 | 0.2 | -1.1 | -0.7 | -2 | 1 | 1.5 | -0.9 | 0.2 | -0.7 | 0.2 | 0.5 | -0.8 |
| 2014 | -1.4 | 0.3 | 0.5 | 0.7 | 0.2 | 0.8 | -0.5 | 0 | -1.3 | 1.8 | 0.1 | -0.7 | 0.3 |
| 2015 | -1.4 | 0.1 | 0.5 | 0.9 | -0.3 | 0.7 | 0.6 | -3.1 | 0.3 | 0.1 | 1 | -1.3 | -2 |
| 2016 | 0.2 | 2.8 | -1 | -0.3 | 0.3 | 0.2 | -0.5 | 0.7 | 0.6 | -0.2 | -0.7 | 0.4 | 2.4 |
| 2017 | 0.3 | 0.8 | -0.1 | 0.3 | 0.8 | 0.1 | 0.5 | 0.2 | 0.5 | 0.2 | -0.3 | 0 | 3.6 |
| 2018 | 0.1 | -1.7 | 1.1 | -0.4 | 0.5 | 0.8 | -0.4 | -0.6 | 0.3 | 1.5 | -0.3 | 0.3 | 1.1 |
| 2019 | 0.2 | 0.9 | 1 | -0.6 | -0.7 | 0.5 | -0.2 | 0.4 | -1.1 | 0.9 | -0.5 | 0.5 | 1.1 |
| 2020 | -1.5 | -0.3 | -4 | -1.9 | 1.9 | 0.6 | -2 | 0.2 | 1 | -1.1 | 1.8 | -0.6 | -5.8 |
| 2021 | 1.7 | 1.8 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-08-05 51.2 SPY 123. -0.0068 -0.007 0.0244 0.0494 0.15 0.419 -0.140 GLD 43.6 -0.0018 0.0182
2 2005-08-08 51.4 SPY 123. -0.0019 -0.0081 0.011 0.041 0.146 0.392 -0.148 GLD 43.4 -0.0057 0.0051
3 2005-08-09 51.9 SPY 123. 0.006 -0.008 0.0119 0.0582 0.140 0.357 -0.147 GLD 43.3 -0.0002 0.0046
4 2005-08-10 52.3 SPY 123. -0.0005 -0.0111 0.0088 0.0519 0.140 0.351 -0.153 GLD 43.6 0.0072 0.0028
5 2005-08-11 53.2 SPY 124. 0.004 0.0008 0.0114 0.0679 0.157 0.366 -0.154 GLD 44.4 0.0183 0.0176
6 2005-08-12 53 SPY 123. -0.0061 0.0015 0.00120 0.0634 0.148 0.383 -0.169 GLD 44.5 0.0009 0.0204
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
